A probabilistic approach to second order variational inequalities with bilateral constraints

DOI10.1007/BF02829634zbMath1054.49007arXivmath/0406076MaRDI QIDQ1425696

K. S. Mallikarjuna Rao, Mrinal K. Ghosh

Publication date: 17 March 2004

Published in: Proceedings of the Indian Academy of Sciences. Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0406076

zbMATH Keywords

variational inequalitiesviscosity solutionstopping timestochastic differential gameHamilton-Jacobi-Isaacs equationssaddle point equilibrium

Mathematics Subject Classification ID

Variational inequalities (49J40) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15) Existence of optimal solutions to problems involving randomness (49J55)

Related Items

Variational theory and computations in stochastic plasticity, Existence of Value in Stochastic Differential Games of Mixed Type

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